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Jun 30, 2018
06/18

by
N. Sircar; D. Bougeard

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We study the relationship between the circular polarization of photoluminescence and the magnetic field-induced spin-polarization of the recombining charge carriers in bulk Si and Ge/Si quantum dots. First, we quantitatively compare experimental results on the degree of circular polarization of photons resulting from phonon-assisted radiative transitions in intrinsic and doped bulk Si with calculations which we adapt from recently predicted spin-dependent phonon-assisted transition...

Topics: Mesoscale and Nanoscale Physics, Materials Science, Condensed Matter

Source: http://arxiv.org/abs/1401.1515

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1.0

Jun 29, 2018
06/18

by
Santhosh Kumar; Pradip Sircar

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We present a new method for the estimation of two dimensional (2D) angles of arrival (AOAs), namely, azimuth and incidence angles of multiple narrowband signals of same frequency in the far field of antenna array.

Topics: Computational Engineering, Finance, and Science, Computing Research Repository

Source: http://arxiv.org/abs/1604.00594

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0.0

Jun 28, 2018
06/18

by
Matthew Lorig; Ronnie Sircar

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We study the finite horizon Merton portfolio optimization problem in a general local-stochastic volatility setting. Using model coefficient expansion techniques, we derive approximations for the both the value function and the optimal investment strategy. We also analyze the `implied Sharpe ratio' and derive a series approximation for this quantity. The zeroth-order approximation of the value function and optimal investment strategy correspond to those obtained by Merton (1969) when the risky...

Topics: Quantitative Finance, Computational Finance

Source: http://arxiv.org/abs/1506.06180

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0.0

Jun 30, 2018
06/18

by
Maxim Bichuch; Ronnie Sircar

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Two major financial market complexities are transaction costs and uncertain volatility, and we analyze their joint impact on the problem of portfolio optimization. When volatility is constant, the transaction costs optimal investment problem has a long history, especially in the use of asymptotic approximations when the cost is small. Under stochastic volatility, but with no transaction costs, the Merton problem under general utility functions can also be analyzed with asymptotic methods. Here,...

Topics: Portfolio Management, Quantitative Finance

Source: http://arxiv.org/abs/1401.0562

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3.0

Jun 29, 2018
06/18

by
Ankush Agarwal; Ronnie Sircar

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We consider an investor who seeks to maximize her expected utility derived from her terminal wealth relative to the maximum performance achieved over a fixed time horizon, and under a portfolio drawdown constraint, in a market with local stochastic volatility (LSV). In the absence of closed-form formulas for the value function and optimal portfolio strategy, we obtain approximations for these quantities through the use of a coefficient expansion technique and nonlinear transformations. We...

Topics: Portfolio Management, Quantitative Finance

Source: http://arxiv.org/abs/1610.08558

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Jul 20, 2013
07/13

by
Ronnie Sircar; Stephan Sturm

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The left tail of the implied volatility skew, coming from quotes on out-of-the-money put options, can be thought to reflect the market's assessment of the risk of a huge drop in stock prices. We analyze how this market information can be integrated into the theoretical framework of convex monetary measures of risk. In particular, we make use of indifference pricing by dynamic convex risk measures, which are given as solutions of backward stochastic differential equations (BSDEs), to establish a...

Source: http://arxiv.org/abs/1107.4632v3

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Sep 22, 2013
09/13

by
B. Sathiapalan; Nilanjan Sircar

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The partition function of BFSS matrix model is studied for two different classical backgrounds upto 1-loop level. One of the backgrounds correspond to a membrane wrapped around a compact direction and another to a localized cluster of $D0$-branes. It is shown there exist phase transitions between these two configurations - but only in presence of an IR cut-off. The low temperature phase corresponds to a string (wrapped membrane) phase and so we call this the Hagedorn phase transition. While the...

Source: http://arxiv.org/abs/0805.0076v3

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Sep 22, 2013
09/13

by
Andrew Ledvina; Ronnie Sircar

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We study continuous time Bertrand oligopolies in which a small number of firms producing similar goods compete with one another by setting prices. We first analyze a static version of this game in order to better understand the strategies played in the dynamic setting. Within the static game, we characterize the Nash equilibrium when there are $N$ players with heterogeneous costs. In the dynamic game with uncertain market demand, firms of different sizes have different lifetime capacities which...

Source: http://arxiv.org/abs/1004.1726v2

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0.0

Jun 29, 2018
06/18

by
Sarthok Sircar; Anthony J. Roberts

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We develop and present a unified multi-scale model (involving three scales of spatial organisation) to study the dynamics of rigid aggregating particles suspended in a viscous fluid medium and subject to a steady poiseuille flow. At micro-level, the theory of adhesion describing the attachment / detachment kinetics of two rigid spheres coated with binding ligands, is utilized to describe the collision frequency function. The meso-scale dynamics is outlined through a continuous general dynamic...

Topics: Quantitative Biology, Soft Condensed Matter, Quantitative Methods, Condensed Matter

Source: http://arxiv.org/abs/1610.02100

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2.0

Jun 27, 2018
06/18

by
Sarthok Sircar; Anthony J. Roberts

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We present a single, unified, multi-scale model to study the attachment\detachment dynamics of two deforming, near spherical cells, coated with binding ligands and subject to a slow, homogeneous shear flow in a viscous fluid medium. The binding ligands on the surface of the cells experience attractive and repulsive forces in an ionic medium and exhibit finite resistance to rotation via bond tilting. The macroscale drag forces and couples describing the fluid flow inside the small separation gap...

Topics: Biological Physics, Quantitative Biology, Condensed Matter, Cell Behavior, Soft Condensed Matter,...

Source: http://arxiv.org/abs/1504.05641

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Jun 26, 2018
06/18

by
S. Sircar; J. N. Majumdar

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Tissue Engineering (TE) is an interdisciplinary field dealing with the principles of engineering and life sciences toward the development of biological substitutes that restore, maintain, or improve tissue function or a whole organ. Currently, TE is emerging as an invaluable field of study and is one of the most promising fields for the next century. The ultimate goal is to develop powerful new therapies for biological substitutes - that will successfully restore the structural and functional...

Topics: Tissues and Organs, Quantitative Biology

Source: http://arxiv.org/abs/1501.05006

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2.0

Jun 26, 2018
06/18

by
S. Sircar; A. J. Roberts

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We present an experimentally guided, multi-phasic, multi-species ionic gel model to compare and make qualitative predictions on the rheology of mucus of healthy individuals (Wild Type) versus those infected with Cystic Fibrosis. The mixture theory consists of the mucus (polymer phase) and water (solvent phase) as well as several different ions: H+, Na+ and Ca++. The model is linearized to study the hydration of spherically symmetric mucus gels and calibrated against the experimental data of...

Topics: Soft Condensed Matter, Biological Physics, Tissues and Organs, Quantitative Biology, Condensed...

Source: http://arxiv.org/abs/1501.05003

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Jun 26, 2018
06/18

by
Carlos Hoyos; Nilanjan Sircar; Jacob Sonnenschein

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In this note we have further developed the study of topologically non-trivial solutions of vacuum electrodynamics. We have discovered a novel method of generating such solutions by applying conformal transformations with complex parameters on known solutions expressed in terms of Bateman's variables. This has enabled us to get a wide class of solutions from the basic configuration like constant electromagnetic fields and plane-waves. We have introduced a covariant formulation of the Bateman's...

Topics: Mathematics, High Energy Physics - Theory, Classical Physics, Physics, Mathematical Physics, Optics

Source: http://arxiv.org/abs/1502.01382

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0.0

Jun 29, 2018
06/18

by
Nilanjan Sircar; Jacob Sonnenschein; Walter Tangarife

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We extend the use of holography to investigate the scrambling properties of various physical systems. Specifically, we consider: (i) non-conformal backgrounds of black $Dp$ branes, (ii) asymptotically Lifshitz black holes, and (iii) black $AdS$ solutions of Gauss-Bonnet gravity. We use the disruption of the entanglement entropy as a probe of the chaotic features of such systems. Our analysis shows that these theories share the same type of behavior as conformal theories as they undergo chaos;...

Topic: High Energy Physics - Theory

Source: http://arxiv.org/abs/1602.07307

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Jun 27, 2018
06/18

by
Mykhaylo Shkolnikov; Ronnie Sircar; Thaleia Zariphopoulou

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We consider the problem of optimal portfolio selection under forward investment performance criteria in an incomplete market. The dynamics of the prices of the traded assets depend on a pair of stochastic factors, namely, a slow factor (e.g. a macroeconomic indicator) and a fast factor (e.g. stochastic volatility). We analyze the associated forward performance SPDE and provide explicit formulae for the leading order and first order correction terms for the forward investment process and the...

Topics: Quantitative Finance, Mathematical Finance

Source: http://arxiv.org/abs/1504.03209

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Jul 20, 2013
07/13

by
Josep Perello; Ronnie Sircar; Jaume Masoliver

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We study the pricing problem for a European call option when the volatility of the underlying asset is random and follows the exponential Ornstein-Uhlenbeck model. The random diffusion model proposed is a two-dimensional market process that takes a log-Brownian motion to describe price dynamics and an Ornstein-Uhlenbeck subordinated process describing the randomness of the log-volatility. We derive an approximate option price that is valid when (i) the fluctuations of the volatility are larger...

Source: http://arxiv.org/abs/0804.2589v2

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Sep 19, 2013
09/13

by
Erhan Bayraktar; Ulrich Horst; Ronnie Sircar

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One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate. This agent-based viewpoint in finance goes back at least to the work of Garman (1976) and shares the philosophy of statistical mechanics in the physical sciences. We discuss recent developments in market microstructure models. They are capable, often through...

Source: http://arxiv.org/abs/math/0703832v1

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Sep 19, 2013
09/13

by
Erhan Bayraktar; Ulrich Horst; Ronnie Sircar

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We study the effect of investor inertia on stock price fluctuations with a market microstructure model comprising many small investors who are inactive most of the time. It turns out that semi-Markov processes are tailor made for modelling inert investors. With a suitable scaling, we show that when the price is driven by the market imbalance, the log price process is approximated by a process with long range dependence and non-Gaussian returns distributions, driven by a fractional Brownian...

Source: http://arxiv.org/abs/math/0703831v1

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Sep 19, 2013
09/13

by
Erhan Bayraktar; H. Vincent Poor; Ronnie Sircar

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S&P 500 index data sampled at one-minute intervals over the course of 11.5 years (January 1989- May 2000) is analyzed, and in particular the Hurst parameter over segments of stationarity (the time period over which the Hurst parameter is almost constant) is estimated. An asymptotically unbiased and efficient estimator using the log-scale spectrum is employed. The estimator is asymptotically Gaussian and the variance of the estimate that is obtained from a data segment of $N$ points is of...

Source: http://arxiv.org/abs/math/0703834v1

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1.0

Jun 28, 2018
06/18

by
Sarthok Sircar; Andrei Kotousov; Giang Nguyen; Anthony J. Roberts

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A self-consistent model is developed to investigate attachment / detachment kinetics of two soft, deformable microspheres with irregular surface and coated with flexible binding ligands. The model highlights how the microscale binding kinetics of these ligands as well as the attractive/repulsive potential of the charged surface affects the static deformed configuration of the spheres. It is shown that in the limit of smooth, neutral charged surface (i.e., the Debye length, $\kappa \rightarrow...

Topics: Soft Condensed Matter, Condensed Matter, Biological Physics, Cell Behavior, Physics, Quantitative...

Source: http://arxiv.org/abs/1510.02813

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Sep 21, 2013
09/13

by
Sarthok Sircar; John G. Younger; David M. Bortz

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We present a multi-scale model to study the attachment of spherical particles with a rigid core, coated with binding ligands and in equilibrium with the surrounding, quiescent fluid medium. This class of fluid-immersed adhesion is widespread in many natural and engineering settings. Our theory highlights how the micro-scale binding kinetics of these ligands, as well as the attractive / repulsive surface potential in an ionic medium effects the eventual macro-scale size distribution of the...

Source: http://arxiv.org/abs/1301.2504v4

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Sep 18, 2013
09/13

by
D. Bougeard; S. Ahlers; A. Trampert; N. Sircar; G. Abstreiter

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We present the first study relating structural parameters of precipitate free Ge0.95Mn0.05 films to magnetisation data. Nanometer sized clusters - areas with increased Mn content on substitutional lattice sites compared to the host matrix - are detected in transmission electron microscopy (TEM) analysis. The films show no overall spontaneous magnetisation at all down to 2K. The TEM and magnetisation results are interpreted in terms of an assembly of superparamagnetic moments developing in the...

Source: http://arxiv.org/abs/cond-mat/0611245v1

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Sep 18, 2013
09/13

by
Paul J. Wiita; Gopal-Krishna; Samir Dhurde; Pronoy Sircar

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We had earlier shown that for a constant velocity jet the discrepancy between the low speeds indicated by VLBI knot motions and the high Doppler factors inferred from emission of TeV photons could be reconciled if ultrarelativistic jets possessed modest opening angles. Here we evaluate the (flux-weighted) viewing angles of the jet and the apparent speeds and Doppler factors of the radio knots on parsec scales. The influence of the jet opening angle on these radio knot parameters are found for...

Source: http://arxiv.org/abs/0707.3456v1

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Sep 23, 2013
09/13

by
Ramanath Cowsik; Kasey Wagoner; Emanuele Berti; Amit Sircar

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In the Fornax dwarf spheroidal galaxy the globular clusters are distributed widely, without any significant central concentration. Oh et al. pointed out that such a distribution is paradoxical: dynamical friction effects estimated using single-component King models would have forced the globular clusters to spiral down to the center of the galaxy well within a Hubble time. This paper is devoted to a discussion of this paradox. We describe a model in which the stars of the dwarf spheroidal...

Source: http://arxiv.org/abs/0904.0451v1

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Sep 18, 2013
09/13

by
Gopal-Krishna; Samir Dhurde; Pronoy Sircar; Paul J. Wiita

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We present analytical modelling of conical relativistic jets, in order to evaluate the role of the jet opening angle on certain key parameters that are inferred from VLBI radio observations of blazar nuclear jets. The key parameters evaluated are the orientation angle (i.e., the viewing angle) of the jet and the apparent speed and Doppler factor of the radio knots on parsec scales. Quantitative comparisons are made of the influence of the jet opening angle on the above parameters of the radio...

Source: http://arxiv.org/abs/0707.4023v1

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Sep 21, 2013
09/13

by
N. Sircar; S. Ahlers; C. Majer; G. Abstreiter; D. Bougeard

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We present evidence that electrical transport studies of epitaxial p-type GeMn thin films fabricated on high resistivity Ge substrates are severely influenced by parallel conduction through the substrate, related to the large intrinsic conductivity of Ge due to its small bandgap. Anomalous Hall measurements and large magneto resistance effects are completely understood by taking a dominating substrate contribution as well as the measurement geometry into account. It is shown that substrate...

Source: http://arxiv.org/abs/1011.1450v1

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Sep 19, 2013
09/13

by
Debaprasad Maity; Swarnendu Sarkar; B. Sathiapalan; R. Shankar; Nilanjan Sircar

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We study properties of strongly coupled CFT's with non-zero background electric charge in 1+1 dimensions by studying the dual gravity theory - which is a charged BTZ black hole. Correlators of operators dual to scalars, gauge fields and fermions are studied at both T=0 and $T\neq 0$. In the $T=0$ case we are also able to compare with analytical results based on $ AdS_2$ and find reasonable agreement. In particular the correlation between log periodicity and the presence of finite spectral...

Source: http://arxiv.org/abs/0909.4051v2

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Sep 21, 2013
09/13

by
S. Kalyana Rama; Swarnendu Sarkar; B. Sathiapalan; Nilanjan Sircar

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We attempt to give a holographic description of the microscopic theory of a BCS superconductor. Exploiting the analogy with chiral symmetry breaking in QCD we use the Sakai-Sugimoto model of two D8 branes in a D4 brane background with finite baryon number. In this case there is a new tachyonic instability which is plausibly the bulk analog of the Cooper pairing instability. We analyze the Yang-Mills approximation to the non-Abelian Born-Infeld action. We give some exact solutions of the...

Source: http://arxiv.org/abs/1104.2843v2

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Sep 18, 2013
09/13

by
S. Ahlers; D. Bougeard; N. Sircar; G. Abstreiter; A. Trampert; M. Opel; R. Gross

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We present a comprehensive study relating the nanostructure of Ge_0.95Mn_0.05 films to their magnetic properties. The formation of ferromagnetic nanometer sized inclusions in a defect free Ge matrix fabricated by low temperature molecular beam epitaxy is observed down to substrate temperatures T_S as low as 70 deg. Celsius. A combined transmission electron microscopy (TEM) and electron energy-loss spectroscopy (EELS) analysis of the films identifies the inclusions as precipitates of the...

Source: http://arxiv.org/abs/cond-mat/0611241v1

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Sep 23, 2013
09/13

by
Norihiro Iizuka; Shamit Kachru; Nilay Kundu; Prithvi Narayan; Nilanjan Sircar; Sandip P. Trivedi; Huajia Wang

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Classifying the zero-temperature ground states of quantum field theories with finite charge density is a very interesting problem. Via holography, this problem is mapped to the classification of extremal charged black brane geometries with anti-de Sitter asymptotics. In a recent paper [1], we proposed a Bianchi classification of the extremal near-horizon geometries in five dimensions, in the case where they are homogeneous but, in general, anisotropic. Here, we extend our study in two...

Source: http://arxiv.org/abs/1212.1948v2

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Sep 17, 2013
09/13

by
Maria Fyta; Jayanta Sircar; Efthimios Kaxiras; Simone Melchionna; Massimo Bernaschi; Sauro Succi

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We employ a multiscale approach to model the translocation of biopolymers through nanometer size pores. Our computational scheme combines microscopic Molecular Dynamics (MD) with a mesoscopic Lattice Boltzmann (LB) method for the solvent dynamics, explicitly taking into account the interactions of the molecule with the surrounding fluid. We describe an efficient parallel implementation of the method which exhibits excellent scalability on the Blue Gene platform. We investigate both dynamical...

Source: http://arxiv.org/abs/0711.2665v1

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Sep 18, 2013
09/13

by
Norihiro Iizuka; Shamit Kachru; Nilay Kundu; Prithvi Narayan; Nilanjan Sircar; Sandip P. Trivedi

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Extremal black branes are of interest because they correspond to the ground states of field theories at finite charge density in gauge/gravity duality. The geometry of such a brane need not be translationally invariant in the spatial directions along which it extends. A less restrictive requirement is that of homogeneity, which still allows points along the spatial directions to be related to each other by symmetries. In this paper, we find large new classes of homogeneous but anisotropic...

Source: http://arxiv.org/abs/1201.4861v2